I never thought about that, but now i'm curious too.
As a child I attended the First Church of Christian Science in Chevy Chase MD now I know there were several other branches of our church and they progressed in ascending order normally from the time of there founding but I do not know if this holds true for all churches of different faiths. If there is only one of each denomination in the area that might explain why they are all first churches however in a big city you will see First church and Second church and so on.
Bill has it right. It is the first church of that particular specific denomination, or in the case of the independents, non-denomination.